I certainly have had dreams about being lucid, many times... and I think such a thing is very common:
I have a feeling that many of the dreams we remember as lucid are actually dreams about lucidity, in which a sense of self-awareness was never present. The trouble is we remember being lucid upon waking, and don't take a moment to really examine what we remember... it's much cooler (and satisfying, given the work so many of us put into this stuff) to quickly conclude that the dream was lucid and ignore the signals that maybe we weren't lucid at all, like that the dream is rapidly fading from memory. The ability to know the difference, which it seems you have, is crucial to successfully developing your actual LD'ing ability -- and ultimately enjoying the benefits of true lucidity.
You might be interested in a thread I started long ago that is essentially about this subject, called a
Treatise on Proof.